I don't think that handling Identity columns has to be a standard feature of EJB, considering that is not a standard database feature, and not all databases support it, making the application not very portable.

Unfortunately I don't think you can solve the problem with a CMP Bean, and you probably have to use a BMP.

If you want to consider it, you can use a different, more portable, solution using bean generated primary key. There are interesting links in some FAQs and Forum threads.